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Abstract

Starting from an agent-based interpretation of the well-known Bass innovation diffusion model, we perform a Montecarlo analysis of the performance of a method of simulated moment estimator. We show that nonlinearities of the moments lead to a small bias in the estimates in small populations, and prove that our estimates are consistent and converge to the true values as population size increases. Our approach can be generalized to the estimation of more complex agent-based models. However, a trade-off emerges between model inadequacy and data inadequacy. This is particularly severe when only aggregate information is available, as common with diffusion data.

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Bibliographic Info

Paper provided by LABORatorio R. Revelli, Centre for Employment Studies in its series LABORatorio R. Revelli Working Papers Series with number 118.

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Date of creation: 2012
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Handle: RePEc:cca:wplabo:118

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Related research

Keywords: diffusion model; method of simulated moments; estimation;

Find related papers by JEL classification:

• C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
• C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
• C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
• D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
• O33 - Economic Development, Technological Change, and Growth - - Technological Change; Research and Development; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

References

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   • Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Swiss Finance Institute Research Paper Series 07-01, Swiss Finance Institute.
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   • Winmker, P. & Gilli, M., 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers 38, Manitoba - Department of Economics.
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    • Daniel McFadden, 1987. "A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration," Working papers 464, Massachusetts Institute of Technology (MIT), Department of Economics.
11. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 38-42.
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13. Boswijk, H. Peter & Franses, Philip Hans, 2005. "On the Econometrics of the Bass Diffusion Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 255-268, July.
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Cited by:

1. Michael Neugart & Matteo G. Richiardi, 2012. "Agent-based models of the labor market," LABORatorio R. Revelli Working Papers Series 125, LABORatorio R. Revelli, Centre for Employment Studies.

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